When you load a PKCS#12 file it may contain a private key. Just as is the case when a private key is generated during the certificate-request process, you have the option of password protecting the private key so that the password will have to be entered each time the key is used for signing.
It's a good idea to use a password on your private keys, but you are not required to do so. If you leave the password fields blank and select Ok, the key will be stored unprotected, without a password.
Once you have selected Ok the results0 of the loading will be displayed.